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Does the credit cycle exist? Policy recommendations based on empirical analyses of the Polish banking sector

Author

Listed:
  • Mateusz Pipień

    (Cracow University of Economics)

  • Dobiesław Tymoczko

    (Warsaw School of Economics)

Abstract

Macroprudential policy gained significance after the 2007 crisis, increasing the importance of financial cycle analyses. In this study, the authors investigate the empirical features of the credit cycle in Poland, broken down by individual banks. The results point out a decrease in the amplitude of cyclical fluctuations. Furthermore the empirical findings indicate a differentiation of credit cycles in individual banks, suggesting that a microprudential policy towards one bank (or a group of banks) could bring similar effects to macroprudential policy. The results indicate the need to supplement the macroprudential policy analysis with disaggregated data for individual banks.

Suggested Citation

  • Mateusz Pipień & Dobiesław Tymoczko, 2024. "Does the credit cycle exist? Policy recommendations based on empirical analyses of the Polish banking sector," Bank i Kredyt, Narodowy Bank Polski, vol. 55(1), pages 1-20.
    • Handle: RePEc:nbp:nbpbik:v:55:y:2024:i:1:p:1-20
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    File URL: https://bankikredyt.nbp.pl/content/2024/01/bik_01_2024_01.pdf
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    More about this item

    Keywords

    credit cycle; macroprudential policy; banking sector; HP filtering; lead/lag analysis;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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